It's largely a marketing thing, but also speaks to adult learning principles. (Plus, one obvious thing.)
Adult learning principles: Putting things that you just learned in the classroom/academics to practical use as soon as possible after the academic session enhances learning.
Lastly - although people like to make the comparison between scuba diving and sky diving, the two have absolutely nothing in common. Specific to scuba training, it's very easy to work your way into actually doing skills in the water - initial/simple skills in confined water, more advanced skills in confined and open water, and ultimately putting them altogether in open water. You can't do this in skydiving.
"OK, today we're going to go up and learn how to jump out of the plane. Tomorrow... we'll learn how to open the parachute."
I think the attrition rate would be unacceptably high.
:d